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| Title: | CEV股價過程下之可轉換公司債評價
Valuation Convertible Bonds with CEV stock process |
| Authors: | 鄧宜皓
Teng, Yi-Hao |
| Contributors: | 陳威光
Chen, Wei‑Kuang
鄧宜皓
Teng, Yi-Hao |
| Keywords: | CEV股價動態
可轉換公司債評價
縮減式信用模型
CRR二元樹
CEV
Convertible bond pricing
Reduced form
CRR binomial tree |
| Date: | 2014 |
| Issue Date: | 2022-09-02 14:49:47 (UTC+8) |
| Abstract: | 本文以CEV ( Constant Elasticity of Variance ) 做為股價動態過程，擷取CEV具備的波動度群集 (cluster) 特性以及與股價動態交互產生的槓桿效應 (leverage effect) 的特色，拓展至可轉換公司債的評價。並嘗試解決縮減式模型描述違約過程中的不足，于設定違約模型時參數校正以及經濟意義上取得平衡。
本研究的框架以Das and Sundaram (2007) 發表的 “An Integrated Model for Hybrid Securities” 為主體，建立利率、股價動態、違約結構的可轉換公司債評價模型。並以CRR二元樹做為數值分析法，模擬可轉換公司債的價格，並建立違約機率的期間結構。本文發現CEV股動動態在標的股價低迷或連續下跌時，能夠較精準的反應違約機率大幅跳升的變動，並在報價上保持更高的敏感性；而GBM (Geometric Brownian Motion) 幾何布朗寧股價動態下於股價看多，或是連續上漲時，對於違約機率的捕捉有較理想的表現。此外，CEV的彈性係數亦對可轉換公司債的價格存在偏態的現象，且市場對於轉換公司債違約風險的看法，可能存在低估傾向。
This research applies Constant Elasticity of Variance (CEV) to describe the dynamic process of stock price, instead of the original Geometric Brownian motion (GBM) process, using features of the CEV model of volatility cluster and the leverage effect, and further expanding to the structure of the convertible bond valuation principle. In the meantime, the research improves the default process in the Reduced form credit model, eventually reaching a balance between parameter calibration and enhancing economic intuition.
Based on "An Integrated Model for Hybrid the Securities" published by Das and Sundaram (2007), this research builds up a model channeling interest rate, stock price, and default rate, combined with CRR binomial-tree lattice as major methodology method to simulate convertible bond price and default rate term structure. This paper finds that the CEV process performs well when the underlying stock is at a low level or consecutive price plunging, and also maintains sensitivity to pricing estimation. On the other hand, the GBM stock process has accurate performance when the stock price is in a period of bullish. In addition, the practical evidence noticed that the elasticity coefficient of CEV contains skewness to the price of convertible corporate bonds, and the market may underestimate the default risks of the convertible bond. |
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| Description: | 碩士
國立政治大學
金融學系
97352027 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0097352027 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202201322 |
| Appears in Collections: | [金融學系] 學位論文
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